Version 1.4 of tsinvest

From: John Conover <>
Subject: Version 1.4 of tsinvest
Date: 25 Jun 2002 06:28:30 -0000

Version 1.4 of the tsinvest program is available on the ntropix web
site at

To be consistent with the "Mathematical Analysis & Numerical Methods"
section of the program's home page, an option was added to instruct
the program to assemble the portfolio with minimum risk, instead of
optimally, (e.g., simultaneously maximizing portfolio gain while at
the same time minimizing risk.) The -a option now requires arguments.

There were no other code or documentation changes.

Additionally, the ndustrix fractal utility programs, at, have a new utility program,
tskalman, which will linear Kalman filter an economic time series,
(which is the way the tsinvest program works-by using a Kalman filter
to produce a running average of the marginal increments, avg; it can
be shown that this method produces the fastest convergence, with the
minimum error do to data set size, possible.)

There were no other code or documentation changes.



John Conover,,

Copyright © 2002 John Conover, All Rights Reserved.
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